Gold and exchange rates: Downside risk and hedging at different investment horizons

被引：49

作者：

Reboredo, Juan C. ^{[1
]}

Rivera-Castro, Miguel A. ^{[2
]}

机构：

[1] Univ Santiago de Compostela, Dept Econ, Santiago De Compostela 15782, Spain

[2] Univ Salvador, Post Grad Programme Management PPGA, BR-41770235 Salvador, BA, Brazil

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2014年 / 34卷

关键词：

Gold; Exchange rates; Hedging; Downside risk; Wavelets; SAFE HAVEN; US DOLLAR; OIL; PRICES; TRANSMISSION; FUTURES;

D O I：

10.1016/j.iref.2014.07.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper assesses the hedging and downside risk benefits of using gold for currency risk management at different investment horizons. Using wavelet multi-resolution analysis, we characterized market interdependence between gold and exchange rates for different time scales, finding positive dependence between gold and US dollar depreciation against a wide set of currencies for all time scales for the period January 2000 to March 2013. The analysis for mixed gold-currency portfolios confirms the usefulness of gold in currency hedging and downside risk management at different investment horizons, even though the size of the benefits varies through investment horizons, with benefits circumscribed to specific kind of portfolios, namely, those whose weights are optimally determined. (C) 2014 Elsevier Inc. All rights reserved.

引用

页码：267 / 279

页数：13

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